On maximum of Gaussian random field having unique maximum point of its variance

DOI10.1007/S10687-019-00346-2MaRDI QIDQ2322838zbMATH OpenOpenAlexWikidataFDO

Authors Sergey G. Kobelkov, V. I. Piterbarg

Publication date 5 September 2019

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.05563

zbMATH Keywords

Gaussian fielddouble sum methodlarge excursionnon-stationary random fieldPickands' method

Mathematics Subject Classification ID

Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70)

Abstract: Gaussian random fields on Euclidean spaces whose variances reach their maximum values at unique points are considered. Exact asymptotic behaviors of probabilities of large absolute maximum of theirs trajectories have been evaluated using Double Sum Method under the widest possible conditions.

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Cited in

(23)

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• Large excursion probabilities for random fields close to Gaussian ones
• Pickands-Piterbarg constants for self-similar Gaussian processes
• Approximation of maximum of Gaussian random fields
• High excursion probabilities for Gaussian fields on smooth manifolds
• Berman's inequality under random scaling
• Asymptotic expansions for the distribution of the maximum of Gaussian random fields
• On extremal index of max-stable random fields
• Distributions of absolute maximum of discontinuous homogeneous Gaussian random field
• High excursions of Bessel and related random processes
• Maximum of the Gaussian interface model in random external fields
• On the maximum of some conditional and integrated Gaussian fields and their statistical applications
• Discretization error for the maximum of a Gaussian field
• On the estimation of the tail probability of the maximum of a Gaussian field
• High level exceeding probability of a Gaussian process with constant variance and variable smoothness
• The maximum of a Gaussian process with nonconstant variance
• On multiple peaks and moderate deviations for the supremum of a Gaussian field
• scientific article; zbMATH DE number 4172062 (Why is no real title available?)
• scientific article; zbMATH DE number 3944990 (Why is no real title available?)
• scientific article; zbMATH DE number 193377 (Why is no real title available?)
• scientific article; zbMATH DE number 1820147 (Why is no real title available?)

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